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37
Bayes Factors
, 1995
"... In a 1935 paper, and in his book Theory of Probability, Jeffreys developed a methodology for quantifying the evidence in favor of a scientific theory. The centerpiece was a number, now called the Bayes factor, which is the posterior odds of the null hypothesis when the prior probability on the null ..."
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Cited by 1012 (70 self)
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In a 1935 paper, and in his book Theory of Probability, Jeffreys developed a methodology for quantifying the evidence in favor of a scientific theory. The centerpiece was a number, now called the Bayes factor, which is the posterior odds of the null hypothesis when the prior probability on the null is onehalf. Although there has been much discussion of Bayesian hypothesis testing in the context of criticism of P values, less attention has been given to the Bayes factor as a practical tool of applied statistics. In this paper we review and discuss the uses of Bayes factors in the context of five scientific applications in genetics, sports, ecology, sociology and psychology.
The structure of psychological wellbeing revisited
 Journal of Personality & Social Psychology
, 1995
"... A theoretical model of psychological wellbeing that encompasses 6 distinct dimensions of wellness ..."
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Cited by 99 (11 self)
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A theoretical model of psychological wellbeing that encompasses 6 distinct dimensions of wellness
Approximate Bayes Factors and Accounting for Model Uncertainty in Generalized Linear Models
, 1993
"... Ways of obtaining approximate Bayes factors for generalized linear models are described, based on the Laplace method for integrals. I propose a new approximation which uses only the output of standard computer programs such as GUM; this appears to be quite accurate. A reference set of proper priors ..."
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Cited by 98 (28 self)
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Ways of obtaining approximate Bayes factors for generalized linear models are described, based on the Laplace method for integrals. I propose a new approximation which uses only the output of standard computer programs such as GUM; this appears to be quite accurate. A reference set of proper priors is suggested, both to represent the situation where there is not much prior information, and to assess the sensitivity of the results to the prior distribution. The methods can be used when the dispersion parameter is unknown, when there is overdispersion, to compare link functions, and to compare error distributions and variance functions. The methods can be used to implement the Bayesian approach to accounting for model uncertainty. I describe an application to inference about relative risks in the presence of control factors where model uncertainty is large and important. Software to implement the
Bayes factors and model uncertainty
 DEPARTMENT OF STATISTICS, UNIVERSITY OFWASHINGTON
, 1993
"... In a 1935 paper, and in his book Theory of Probability, Jeffreys developed a methodology for quantifying the evidence in favor of a scientific theory. The centerpiece was a number, now called the Bayes factor, which is the posterior odds of the null hypothesis when the prior probability on the null ..."
Abstract

Cited by 90 (6 self)
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In a 1935 paper, and in his book Theory of Probability, Jeffreys developed a methodology for quantifying the evidence in favor of a scientific theory. The centerpiece was a number, now called the Bayes factor, which is the posterior odds of the null hypothesis when the prior probability on the null is onehalf. Although there has been much discussion of Bayesian hypothesis testing in the context of criticism of Pvalues, less attention has been given to the Bayes factor as a practical tool of applied statistics. In this paper we review and discuss the uses of Bayes factors in the context of five scientific applications. The points we emphasize are: from Jeffreys's Bayesian point of view, the purpose of hypothesis testing is to evaluate the evidence in favor of a scientific theory; Bayes factors offer a way of evaluating evidence in favor ofa null hypothesis; Bayes factors provide a way of incorporating external information into the evaluation of evidence about a hypothesis; Bayes factors are very general, and do not require alternative models to be nested; several techniques are available for computing Bayes factors, including asymptotic approximations which are easy to compute using the output from standard packages that maximize likelihoods; in "nonstandard " statistical models that do not satisfy common regularity conditions, it can be technically simpler to calculate Bayes factors than to derive nonBayesian significance
Using Bayesian model averaging to calibrate forecast ensembles. Monthly Weather Review 133
, 2005
"... Ensembles used for probabilistic weather forecasting often exhibit a spreaderror correlation, but they tend to be underdispersive. This paper proposes a statistical method for postprocessing ensembles based on Bayesian model averaging (BMA), which is a standard method for combining predictive distr ..."
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Cited by 74 (28 self)
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Ensembles used for probabilistic weather forecasting often exhibit a spreaderror correlation, but they tend to be underdispersive. This paper proposes a statistical method for postprocessing ensembles based on Bayesian model averaging (BMA), which is a standard method for combining predictive distributions from different sources. The BMA predictive probability density function (PDF) of any quantity of interest is a weighted average of PDFs centered on the individual biascorrected forecasts, where the weights are equal to posterior probabilities of the models generating the forecasts and reflect the models ’ relative contributions to predictive skill over the training period. The BMA weights can be used to assess the usefulness of ensemble members, and this can be used as a basis for selecting ensemble members; this can be useful given the cost of running large ensembles. The BMA PDF can be represented as an unweighted ensemble of any desired size, by simulating from the BMA predictive distribution. The BMA predictive variance can be decomposed into two components, one corresponding to the betweenforecast variability, and the second to the withinforecast variability. Predictive PDFs or intervals based solely on the ensemble spread incorporate the first component but not the second. Thus BMA provides a theoretical explanation of the tendency of ensembles to exhibit a spreaderror correlation but yet
Bayesian model averaging
 STAT.SCI
, 1999
"... Standard statistical practice ignores model uncertainty. Data analysts typically select a model from some class of models and then proceed as if the selected model had generated the data. This approach ignores the uncertainty in model selection, leading to overcon dent inferences and decisions tha ..."
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Cited by 43 (0 self)
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Standard statistical practice ignores model uncertainty. Data analysts typically select a model from some class of models and then proceed as if the selected model had generated the data. This approach ignores the uncertainty in model selection, leading to overcon dent inferences and decisions that are more risky than one thinks they are. Bayesian model averaging (BMA) provides a coherent mechanism for accounting for this model uncertainty. Several methods for implementing BMA haverecently emerged. We discuss these methods and present anumber of examples. In these examples, BMA provides improved outofsample predictive performance. We also provide a catalogue of
Model uncertainty and its impact on the pricing of derivative instruments
 Mathematical Finance
"... Uncertainty on the choice of an option pricing model can lead to “model risk ” in the valuation of portfolios of options. After discussing some properties which a quantitative measure of model uncertainty should verify in order to be useful and relevant in the context of risk management of derivativ ..."
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Cited by 29 (6 self)
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Uncertainty on the choice of an option pricing model can lead to “model risk ” in the valuation of portfolios of options. After discussing some properties which a quantitative measure of model uncertainty should verify in order to be useful and relevant in the context of risk management of derivative instruments, we introduce a quantitative framework for measuring model uncertainty in the context of derivative pricing. Two methods are proposed: the first method is based on a coherent risk measure compatible with market prices of derivatives, while the second method is based on a convex risk measure. Our measures of model risk lead to a premium for model uncertainty which is comparable to other risk measures and compatible with observations of market prices of a set of benchmark derivatives. Finally, we discuss some implications for the management of “model risk.”
Bayesian Estimation and Testing of Structural Equation Models
 Psychometrika
, 1999
"... The Gibbs sampler can be used to obtain samples of arbitrary size from the posterior distribution over the parameters of a structural equation model (SEM) given covariance data and a prior distribution over the parameters. Point estimates, standard deviations and interval estimates for the parameter ..."
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Cited by 27 (8 self)
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The Gibbs sampler can be used to obtain samples of arbitrary size from the posterior distribution over the parameters of a structural equation model (SEM) given covariance data and a prior distribution over the parameters. Point estimates, standard deviations and interval estimates for the parameters can be computed from these samples. If the prior distribution over the parameters is uninformative, the posterior is proportional to the likelihood, and asymptotically the inferences based on the Gibbs sample are the same as those based on the maximum likelihood solution, e.g., output from LISREL or EQS. In small samples, however, the likelihood surface is not Gaussian and in some cases contains local maxima. Nevertheless, the Gibbs sample comes from the correct posterior distribution over the parameters regardless of the sample size and the shape of the likelihood surface. With an informative prior distribution over the parameters, the posterior can be used to make inferences about the parameters of underidentified models, as we illustrate on a simple errorsinvariables model.
Hypothesis testing and model selection via posterior simulation
 In Markov Chain Monte Carlo in Practice. Chapman and
, 1996
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